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Merge #911 

911: Introduce funding fee in payout calculations r=luckysori a=luckysori

Work towards #244.

Co-authored-by: Lucas Soriano del Pino <lucas_soriano@fastmail.com>
update-blockstream-electrum-server-url
bors[bot] 3 years ago
committed by GitHub
parent
18487438f9 1c91fc0453
commit
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1 changed files with 259 additions and 8 deletions
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  1. 267
      daemon/src/payout_curve.rs

267
daemon/src/payout_curve.rs
View File

@ -53,7 +53,7 @@ pub fn calculate(
leverage: Leverage,
n_payouts: usize,
) -> Result<Vec<Payout>> {
let payouts = calculate_payout_parameters(price, quantity, leverage, n_payouts)?
let payouts = calculate_payout_parameters(price, quantity, leverage, n_payouts, 0)?
.into_iter()
.map(PayoutParameter::into_payouts)
.flatten_ok()
@ -74,6 +74,7 @@ fn calculate_payout_parameters(
quantity: Usd,
long_leverage: Leverage,
n_payouts: usize,
funding_fee: u64,
) -> Result<Vec<PayoutParameter>> {
let initial_rate = price
.try_into_f64()
@ -98,16 +99,20 @@ fn calculate_payout_parameters(
.map(|row| {
let left_bound = row[0] as u64;
let right_bound = row[1] as u64;
let long_amount = row[2];
let long_amount_btc = row[2];
let short_amount = to_sats(payout_curve.total_value - long_amount)?;
let long_amount = to_sats(long_amount)?;
let long_amount = to_sats(long_amount_btc)?;
let long_amount_adjusted = long_amount.saturating_sub(funding_fee);
let adjustment = long_amount - long_amount_adjusted;
let short_amount = to_sats(payout_curve.total_value - long_amount_btc)?;
let short_amount_adjusted = short_amount + adjustment;
Ok(PayoutParameter {
left_bound,
right_bound,
long_amount,
short_amount,
long_amount: long_amount_adjusted,
short_amount: short_amount_adjusted,
})
})
.collect::<Result<Vec<_>>>()?;
@ -115,7 +120,7 @@ fn calculate_payout_parameters(
Ok(payout_parameters)
}
#[derive(PartialEq)]
#[derive(PartialEq, Clone, Copy)]
struct PayoutParameter {
left_bound: u64,
right_bound: u64,
@ -511,6 +516,7 @@ mod tests {
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
0,
)
.unwrap();
@ -722,12 +728,257 @@ mod tests {
}
#[test]
fn verfiy_tails() {
fn verify_effect_of_funding_fee() {
let payouts = calculate_payout_parameters(
Price::new(dec!(54000.00)).unwrap(),
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
0,
)
.unwrap();
let funding_fee = 100;
let payouts_with_fee = calculate_payout_parameters(
Price::new(dec!(54000.00)).unwrap(),
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
funding_fee,
)
.unwrap();
assert_eq!(payouts.len(), payouts_with_fee.len());
let total_per_payout = payouts
.iter()
.map(|payout| payout.short_amount + payout.long_amount)
.collect::<Vec<_>>();
let total_per_payout_with_fee = payouts_with_fee
.iter()
.map(|payout| payout.short_amount + payout.long_amount)
.collect::<Vec<_>>();
assert_eq!(total_per_payout, total_per_payout_with_fee);
let fees = payouts
.iter()
.zip(payouts_with_fee)
.map(|(payout, payout_with_fee)| payout_with_fee.short_amount - payout.short_amount)
.collect::<Vec<_>>();
let expected_fees = vec![
0, // the lower tail of this curve already assigns the short side all of the coins
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
funding_fee,
];
assert_eq!(fees, expected_fees);
}
#[test]
fn verify_tails() {
let actual_payouts = calculate_payout_parameters(
Price::new(dec!(54000.00)).unwrap(),
Usd::new(dec!(3500.00)),
Leverage::new(5).unwrap(),
200,
0,
)
.unwrap();

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